All Bond Long

P&L Summary

Range Return Sharpe Win% Ave Ave+ Ave- Max- Underwater Days %
20 (1) (1.2) 64 0 2 (6) (11) 0 70
60 2 2.2 58 0 4 (3) (12) 0 75
120 1 1.1 53 0 4 (4) (21) 0 72
250 1 1.4 51 0 5 (4) (21) (1) 81
500 2 1.9 52 0 5 (4) (21) (1) 85
760 1 1.5 53 0 5 (4) (23) (1) 86
1260 1 1.3 52 0 5 (4) (23) (1) 86
2520 2 1.6 52 1 7 (5) (85) (3) 87
All 2 1.5 51 0 7 (5) (85) (3) 87

P&L Month Table

Year 1 2 3 4 5 6 7 8 9 10 11 12 R Sharpe Win% Trades MaxLoss UW Max Ave
Avg 0.4 0.1 0.1 0.1 0.1 0.2 0.2 0 0 (0.1) 0 0 1.4 1.3 51.7 240 (0.2) (0.7) 1.4 0.6
2017 (0.1) 0.3 0.1 0 0 0 0 0 0 0 0 0 0.3 0.8 54.1 79 (0.2) (0.3) 1 0.5
2016 0.9 0.3 0.1 0.2 0 1.2 0.3 (0.2) (0.1) (0.2) (0.2) 0.3 2.6 2.3 51.5 240 (0.2) (0.8) 1.5 0.6
2015 0.7 (0.2) 0.5 (0.3) 0.1 0 0.4 0 0.2 (0.3) 0.1 0.1 1.3 1.2 50 233 (0.2) (0.8) 1.5 0.6
2014 0.7 0.1 0 0.2 0.4 0.1 0 0.2 (0.3) (0.2) 0.2 0.2 1.6 1.7 57.5 240 (0.2) (0.8) 1.5 0.6
2013 (0.3) 0.3 0.1 0.3 (0.6) 0.1 0.3 0.2 0.1 0 (0.1) (0.4) 0 0.1 49.3 239 (0.2) (0.6) 1.5 0.6
2012 0.2 0 (0.1) 0.3 0.6 (0.2) 0.2 0 0.1 0.1 0.2 (0.1) 1.3 1.5 50.4 248 (0.2) (0.5) 1 0.5
2011 0.2 0.1 (0.1) 0.4 0.6 (0.3) 0.6 0.8 0.2 0.4 0.3 0.5 3.7 2.5 51.3 243 (0.4) (0.9) 1.5 0.5
2010 0.4 0.2 (0.2) 0.6 0.6 0.7 0.1 0.9 0 0 (0.3) 0 3 2.1 51.1 239 (0.3) (0.9) 1.3 0.6
2009 (0.6) 0 0 (0.5) (1.1) 0.7 0 1.1 0.4 0.3 0.8 (0.5) 0.6 0.3 47.3 234 (0.5) (2.9) 1.3 0.6
2008 1.2 0.7 0.6 (0.3) (0.3) 0.8 0.3 0.4 0 (0.1) 2.8 1 7.1 2.7 60.7 232 (0.9) (1.5) 1.5 0.6
2007 (0.4) 0.6 (0.4) 0.1 (0.3) 0 0.2 0.5 0.4 0.2 0.9 0.3 2.1 1.6 49.4 250 (0.2) (0.9) 1.3 0.6
2006 (0.4) (0.1) (0.1) 0 (0.1) (0.1) 0.3 0.3 0.3 0.1 0.3 (0.4) 0.1 0 45.4 207 (0.2) (1.2) 1.3 0.5
2005 0 (0.5) (0.1) 0.6 0.3 0 (0.2) 0.3 (0.6) (0.3) (0.2) 0.1 (0.6) (0.6) 44.6 234 (0.3) (1.4) 1.3 0.5
2004 0.3 0.5 (0.1) (0.9) 0.3 0.4 0.2 0.7 0.6 0.2 (0.2) 0.6 2.6 1.6 51.5 237 (0.4) (1.5) 1.5 0.6
2003 (0.7) 0.8 0.5 0.4 0.7 (0.1) (1.1) 0.1 1.6 0.2 0.4 0.2 3 1.9 52.3 230 (0.4) (1.6) 1.5 0.6
2002 0.2 0.2 (0.1) 0.6 0.3 0.3 1.1 0.8 1 0.6 (0.7) 1 5.3 3 56.8 248 (0.5) (0.9) 1.3 0.6
2001 0.3 0.6 (0.1) (0.3) (0.3) 0 0.6 0.5 1 0.7 (1.2) 0.5 2.3 1.1 50.9 249 (0.6) (2) 1.3 0.7
2000 0.3 0.2 0.7 (0.6) 0.1 0.7 0.1 0.2 0.2 (0.2) 0.4 0.4 2.5 2.1 50.6 238 (0.4) (1.1) 1.3 0.5